Credit Suisse plans 0% semiannual review notes linked to S&P 500 index

By Marisa Wong

Madison, Wis., Sept. 14 - Credit Suisse AG, Nassau Branch plans to price 0% semiannual review notes due Sept. 21, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the index is at or above the call level on any of four review dates.

The call level is equal to 90% of the initial level on the first review date and is equal to the initial level on the other three review dates.

The redemption amount will be par plus at least 4.425% if the notes are called on March 17, 2011, par plus at least 8.85% if the notes are called on Sept. 26, 2011, par plus at least 13.275% if called on March 19, 2012 and par plus at least 17.7% if called on Sept. 17, 2012. The exact call premiums will be set at pricing.

If the notes are not called, investors will receive par at maturity if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The notes (Cusip: 22546EZN7) are expected to price on Sept. 17 and settle on Sept. 22.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.